Cross-sectional averages versus principal components

A-Tier
Journal: Journal of Econometrics
Year: 2015
Volume: 185
Issue: 2
Pages: 372-377

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the approaches, the current paper fills this gap in the literature.

Technical Details

RePEc Handle
repec:eee:econom:v:185:y:2015:i:2:p:372-377
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29